Office Address |
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Graduate School of Economics, Faculty of Economics
The University of Tokyo
7-3-1, Hongo, Bunkyo-ku, Tokyo
113-0033, Japan |
Research Themes |
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Finance, Applied Probability |
Current Positions |
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Associate Professor, Faculty of Economics, The University of Tokyo (Since April 2003) |
Principal Past Positions |
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Associate Professor, Graduate School of Mathematical Sciences, Department of Mathematics, The University of Tokyo (April 1999 - September 2003) |
Educations |
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B.A. (Economics) Department of Economics, The University of Tokyo (March 1985)
Ph. D. (Business Administration (Finance)),
University of California at Berkeley (December 1995) |
Ph. D. Thesis |
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"Essays on the Valuation Problems of Contingent Claims" (1995) |
Publications |
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I) Recent Publications 2000.4 -
Book
Foundation of Mathematical Finance - Application of Malliavin Calculus and an Asymptotic Expansion Method -, Toyo Keizai Shimpo-sha, Jul. 2003 (with Naoto Kunitomo, in Japanese)
Articles
"An Asymptotic Expansion Scheme for Optimal Investment Problems," Statistical Inference for Stochastic Processes, Vol.7, No.2, 153-188, 2004 (with Nakahiro Yoshida)
"Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems," forthcoming in Stochastic Processes and Applications to Mathematical Finance, World Scientific, 195-232, 2004 (with Naoto Kunitomo)
"Dynamic Optimality of Yield Curve Strategies," Discussion Paper Series, CIRJE-F-299, Faculty of Economics, The University of Tokyo, 2004 (with Takao Kobayashi and Norio Tokioka), forthcoming in International Review of Finance
"Monte Carlo Simulation with an Asymptotic Expansion in HJM Framework," Discussion Paper Series, CIRJE-CJ-112, Faculty of Economics, The University of Tokyo, 2004 (with Shuichiro Matsushima, in Japanese), forthcoming Annals of Financial Services Agency, 2004
"An Asymptotic Expansion Approach to Pricing American Options," Monetary and Economic Studies, Vol.22, 35-87, Bank of Japan, Nov. 2003 (with Taiga Saito, in Japanese)
"On Validity of the Asymptotic Expansion Approach in Contingent Claim Analysis," Annals of Applied Probability, Vol.13, No.3, 914-952, 2003 (with Naoto Kunitomo)
"An Application of Monte Carlo Filter for Estimating the Term Structure of Interest Rates," Proceedings of the Institute of Statistical Mathematics, Vol.50, No.2, 133-147, 2002 (with Seisho Sato, in Japanese)
"Pricing Convertible Bonds with Default Risk," The Journal of Fixed Income, Vol.11, No.3, 20-29, Dec. 2001 (with Takao Kobayashi and Naruhisa Nakagawa)
"An Asymptotic Expansion Scheme for the Optimal Portfolio for Investment," Mathematical Economics, Kokyuroku 1215, Research Institute for Mathematical Sciences, Kyoto University, 2001 (with Nakahiro Yoshida)
"A Monte Carlo Filtering Approach for Estimating the Term Structure of Interest Rates," Annals of the Institute of Statistical Mathematics, Vol.53, 50-62, 2001 (with Seisho Sato)
"The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims," Mathematical Finance, Vol.11, 117-151, Jan. 2001 (with Naoto Kunitomo)
"A Variable Reduction Technique for Pricing Average-rate Options," International Review of Finance, Vol.1, 123-142, Jun. 2000 (with Hua He)
(Preprints)
"New Acceleration Schemes with the Asymptotic Expansion in Monte Carlo Simulation," Discussion Paper Series, CIRJE-F-298, Faculty of Economics, The University of Tokyo, 2004 (with Yoshihiko Uchida)
"On the Computation of Greeks -An Application of Malliavin Calculus-,"
IMES Discussion Paper Series 2004-J-24, Bank of Japan (with Imamura and Yoshihiko Uchida)
"The Asymptotic Expansion Approach with Monte Carlo Simulation with Asymptotic Method," Discussion Paper Series, CIRJE-F-249, Faculty of Economics, The University of Tokyo, 2003 (with Nakahiro Yoshida)
II) Publications 1995 - 2000.3
Articles
"An Asymptotic Expansion Approach to Pricing Financial Contingent Claims," Asia-Pacific Financial Markets, Vol.6, 115-151, 1999
"Pricing of Securities with Default Risks," Technical Report, The Industrial Bank of Japan, 1997
"Practitioner's Recipe for Number-Theoretic Quasi Random Sequence Generator," Technical Report, The Industrial Bank of Japan, 1997 (with Keiichiro Ikeda and Masakazu Ando)
III) Selected Publications prior to 1995
Articles
"Valuation of Interest Rates Contingent Claims Based on HJM Model," Unpublished Master Paper, Haas School of Business, University of California, Berkeley, 1992
"Pricing Average Options," Japan Financial Review, Vol.14, 1-20, Jan. 1992 (with Naoto Kunitomo, in Japanese) |
Honors |
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Best Poster Session Presentation Awards, (with Seisho Sato),
The International Symposium on Frontiers of Time Series Modeling,
The Institute of Statistical Mathematics, February, 2000.
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